On the robustness of least-squares Monte Carlo (LSM) for pricing American derivatives

DOI10.1023/A:1027340210935zbMath1059.91047MaRDI QIDQ1421715

D. Massart

Publication date: 3 February 2004

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

option pricing

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)